Gregory Connor : Citation Profile

Are you Gregory Connor?

Maynooth University

14

H index

16

i10 index

1137

Citations

RESEARCH PRODUCTION:

15

Articles

26

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   34 years (1984 - 2018). See details.
   Cites by year: 33
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 14 (1.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco532
   Updated: 2023-05-27    RAS profile: 2019-06-12    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor.

Is cited by:

LINTON, OLIVER (27)

Bai, Jushan (25)

Swanson, Norman (23)

Scaillet, Olivier (21)

Kapetanios, George (19)

Barigozzi, Matteo (18)

Hallin, Marc (18)

Pesaran, Mohammad (18)

Ossola, Elisa (16)

Forni, Mario (16)

Jagannathan, Ravi (16)

Cites to:

Reinhart, Carmen (26)

Korajczyk, Robert (21)

Campbell, John (19)

Engle, Robert (16)

Fama, Eugene (16)

French, Kenneth (15)

LINTON, OLIVER (13)

Rogoff, Kenneth (11)

Bollerslev, Tim (11)

Gorton, Gary (9)

Bai, Jushan (9)

Main data

Where Gregory Connor has published?

Journals with more than one article published# docs
Journal of Financial Economics2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth11
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2022 and 2021)

YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

Full description at Econpapers || Download paper

2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

Full description at Econpapers || Download paper

2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

Full description at Econpapers || Download paper

2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

Full description at Econpapers || Download paper

2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

Full description at Econpapers || Download paper

2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

Full description at Econpapers || Download paper

2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

Full description at Econpapers || Download paper

2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

Full description at Econpapers || Download paper

2021The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2021). Wu, Wei ; Shevchenko, Pavel V ; Penev, Spiridon. In: Papers. RePEc:arx:papers:2108.02633.

Full description at Econpapers || Download paper

2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

Full description at Econpapers || Download paper

2023A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

Full description at Econpapers || Download paper

2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

Full description at Econpapers || Download paper

2022Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014.

Full description at Econpapers || Download paper

2022Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

Full description at Econpapers || Download paper

2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

Full description at Econpapers || Download paper

2022Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

Full description at Econpapers || Download paper

2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

Full description at Econpapers || Download paper

2022Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2212.13324.

Full description at Econpapers || Download paper

2023Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206.

Full description at Econpapers || Download paper

2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

Full description at Econpapers || Download paper

2022FINANCIAL STABILITY, THE OBJECTIVE OF DEVELOPMENT FINANCIAL MARKETS. (2022). Elena, Radu. In: Management Strategies Journal. RePEc:brc:journl:v:55:y:2022:i:1:p:144-149.

Full description at Econpapers || Download paper

2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237.

Full description at Econpapers || Download paper

2022A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710.

Full description at Econpapers || Download paper

2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

Full description at Econpapers || Download paper

2021Recourse and (strategic) mortgage defaults: Evidence from changes in housing market laws. (2021). Vlahu, Razvan ; Popa, Radu ; Copaciu, Anca ; Andries, Alin Marius . In: Working Papers. RePEc:dnb:dnbwpp:727.

Full description at Econpapers || Download paper

2022A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco. (2022). Abrache, Jawad ; Aguenaou, Samir ; Tazi, Omar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-01-09.

Full description at Econpapers || Download paper

2022Temporal complementarity of marine renewables with wind and solar generation: Implications for GB system benefits. (2022). Jeffrey, Henry ; Bhattacharya, Saptarshi ; Angeloudis, Athanasios ; Coles, Daniel ; Pennock, Shona. In: Applied Energy. RePEc:eee:appene:v:319:y:2022:i:c:s030626192200633x.

Full description at Econpapers || Download paper

2021A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective. (2021). Zhang, Qun ; Wan, Wei ; Chen, Yue ; Liu, Hao. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002718.

Full description at Econpapers || Download paper

2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

Full description at Econpapers || Download paper

2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

Full description at Econpapers || Download paper

2021Estimation and inference in semiparametric quantile factor models. (2021). Gao, Jiti ; Linton, Oliver ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:295-323.

Full description at Econpapers || Download paper

2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

Full description at Econpapers || Download paper

2021Dynamic spatial panel data models with common shocks. (2021). Li, Kunpeng ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:134-160.

Full description at Econpapers || Download paper

2022Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102.

Full description at Econpapers || Download paper

2023High dimensional semiparametric moment restriction models. (2023). GAO, Jiti ; Linton, Oliver ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:320-345.

Full description at Econpapers || Download paper

2021Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75.

Full description at Econpapers || Download paper

2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

Full description at Econpapers || Download paper

2022Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach. (2022). Li, Haitao ; Yu, Cindy L ; Zhang, Yixiao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:75-93.

Full description at Econpapers || Download paper

2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

Full description at Econpapers || Download paper

2022Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50.

Full description at Econpapers || Download paper

2022The COVID-19 storm and the energy sector: The impact and role of uncertainty. (2022). Bwanya, Princess Rutendo ; Charteris, Ailie ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988321001638.

Full description at Econpapers || Download paper

2022Integration of tidal energy into an island energy system – A case study of Orkney islands. (2022). Davies, Gareth ; Kerr, Sandy ; Woolf, David K ; Almoghayer, Mohammed A. In: Energy. RePEc:eee:energy:v:242:y:2022:i:c:s0360544221027961.

Full description at Econpapers || Download paper

2021Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Qian, Long ; Ni, Xuanming ; Liu, Jia ; Zhao, Huimin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289.

Full description at Econpapers || Download paper

2022The cost of overconfidence in public information. (2022). Noh, Sanha ; Cho, Youngha ; Hwang, Soosung. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003070.

Full description at Econpapers || Download paper

2021Convergence in cryptocurrency prices? the role of market microstructure. (2021). Apergis, Nicholas ; Payne, James E ; Koutmos, Dimitrios. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314114.

Full description at Econpapers || Download paper

2022Graph-based multi-factor asset pricing model. (2022). Lee, Jaewook ; Son, Bumho. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001136.

Full description at Econpapers || Download paper

2022Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x.

Full description at Econpapers || Download paper

2021On the stability of stock-bond comovements across market conditions in the Eurozone periphery. (2021). Lagoa-Varela, Dolores ; Flavin, Thomas J. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028318303144.

Full description at Econpapers || Download paper

2022Multi-population mortality modeling: When the data is too much and not enough. (2022). Tsai, Chenghsien Jason ; Kuo, Weiyu ; MacMinn, Richard D ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:41-55.

Full description at Econpapers || Download paper

202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

Full description at Econpapers || Download paper

2022The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177.

Full description at Econpapers || Download paper

2021Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977.

Full description at Econpapers || Download paper

2021Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2021). Slaymaker, Rachel ; O'Toole, Conor ; Otoole, Conor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002272.

Full description at Econpapers || Download paper

2021Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

Full description at Econpapers || Download paper

2021Understanding momentum and reversal. (2021). Pruitt, Seth ; Moskowitz, Tobias J ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:726-743.

Full description at Econpapers || Download paper

2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

Full description at Econpapers || Download paper

2021Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238.

Full description at Econpapers || Download paper

2022The level, slope, and curve factor model for stocks. (2022). Clarke, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:159-187.

Full description at Econpapers || Download paper

2023What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242.

Full description at Econpapers || Download paper

2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

Full description at Econpapers || Download paper

2021A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646.

Full description at Econpapers || Download paper

2021An empirical illustration of the integration of sovereign bond markets. (2021). Inaba, Kei-Ichiro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:61:y:2021:i:c:s1042444x20300633.

Full description at Econpapers || Download paper

2021Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649.

Full description at Econpapers || Download paper

2022Synthetic control methods for policy analysis: Evaluating the effect of the European Emission Trading System on aviation supply. (2022). Dalfonso, Tiziana ; Jiang, Changmin ; Liao, Sha ; Kang, Yicheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:162:y:2022:i:c:p:236-252.

Full description at Econpapers || Download paper

2022Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data. (2022). Michail, Nektarios ; Kallenos, Theodosis ; Evangelou, Ioanna ; Antoniou, Savvas. In: Cyprus Economic Policy Review. RePEc:erc:cypepr:v:16:y:2022:i:1:p:37-49.

Full description at Econpapers || Download paper

2021Tides and Tidal Currents—Guidelines for Site and Energy Resource Assessment. (2021). Nastasi, Benedetto ; Barbarelli, Silvio. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6123-:d:643461.

Full description at Econpapers || Download paper

2021Tidal Stream vs. Wind Energy: The Value of Cyclic Power When Combined with Short-Term Storage in Hybrid Systems. (2021). Goss, Zoe ; Angeloudis, Athanasios ; Coles, Daniel ; Miles, Jon. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1106-:d:502201.

Full description at Econpapers || Download paper

2021Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market. (2021). Ceylan, Burak ; Kizil, Cevdet ; Muzir, Erol . In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:125-:d:517617.

Full description at Econpapers || Download paper

2021Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19. (2021). Bhatti, Muhammad ; Manzoor, Muhammad Saqib ; Iqbal, Najam. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:314-:d:590930.

Full description at Econpapers || Download paper

2021Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy. (2021). Gambetti, Luca ; Forni, Mario. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:371-:d:613706.

Full description at Econpapers || Download paper

2023The Econometrics of Factor Loadings and Implications for Monetary Policy in a Small Open Economy (2005- 2020) – Sierra Leone. (2023). Warburton, Christopher ; Jackson, Emerson A. In: Journal of Economic Policy Researches. RePEc:ist:iujepr:v:10:y:2023:i:1:p:19-35.

Full description at Econpapers || Download paper

2021Equilibrium asset pricing and the cross section of expected returns. (2021). Vanden, Joel M. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-021-00383-7.

Full description at Econpapers || Download paper

2022Some properties of portfolios constructed from principal components of asset returns. (2022). Severini, Thomas A. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-022-00412-z.

Full description at Econpapers || Download paper

2022Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?. (2022). Szabo, Milan. In: Empirica. RePEc:kap:empiri:v:49:y:2022:i:4:d:10.1007_s10663-022-09553-w.

Full description at Econpapers || Download paper

2022Nowcasting the Maltese economy with a dynamic factor model. (2022). Ruisi, Germano ; Ellul, Rueben . In: CBM Working Papers. RePEc:mlt:wpaper:0222.

Full description at Econpapers || Download paper

2022Drivers of household arrears: an euro area country panel data analysis. (2022). Lenari, RT. In: MPRA Paper. RePEc:pra:mprapa:114558.

Full description at Econpapers || Download paper

2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:510.

Full description at Econpapers || Download paper

2021A further analysis of robust regression modeling and data mining corrections testing in global stocks. (2021). Markowitz, Harry ; Xu, Ganlin ; Guerard, John B. In: Annals of Operations Research. RePEc:spr:annopr:v:303:y:2021:i:1:d:10.1007_s10479-020-03521-y.

Full description at Econpapers || Download paper

2022Risk factor extraction with quantile regression method. (2022). Sun, Edward W ; Lai, Wan-Ni. In: Annals of Operations Research. RePEc:spr:annopr:v:316:y:2022:i:2:d:10.1007_s10479-022-04709-0.

Full description at Econpapers || Download paper

2022Nowcasting the GDP in Taiwan and the Real-Time Tourism Data. (2022). Hsiao, Yi-Long ; Ting, Chien-Jung. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:12:y:2022:i:3:f:12_3_2.

Full description at Econpapers || Download paper

2022Application of the Real-Time Tourism Data in Nowcasting the Service Consumption in Taiwan. (2022). Su, Rui-Jun ; Hsiao, Yi-Long ; Ting, Chien-Jung. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:12:y:2022:i:4:f:12_4_4.

Full description at Econpapers || Download paper

2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111.

Full description at Econpapers || Download paper

2021Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data. (2021). Kim, Min Seong. In: Working papers. RePEc:uct:uconnp:2021-04.

Full description at Econpapers || Download paper

2021A large constrained time?varying portfolio selection model with DCC?MIDAS: Evidence from Chinese stock market. (2021). He, Yaoyao ; Jiang, Cuixia ; Zuo, Junqing ; Xu, Qifa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3417-3435.

Full description at Econpapers || Download paper

2021Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights. (2021). Ahmad, Zamri ; Tuyon, Jasman. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5793-5814.

Full description at Econpapers || Download paper

2022Why do sukuks (Islamic bonds) need a different pricing model?. (2022). Liu, Jia ; Hossain, Mohammed S ; Hassan, Mohammad Kabir ; Kabir, Sarkar H ; Uddin, Md Hamid. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2210-2234.

Full description at Econpapers || Download paper

2021Is idiosyncratic risk conditionally priced?. (2021). Mehra, Rajnish ; Xie, Daruo ; Wahal, Sunil. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:2:p:625-646.

Full description at Econpapers || Download paper

2021Using Principal Component Analysis to create an index of financial conditions in Spain. Differences by firm size and industry. (2021). Román-Aso, Juan ; Villalba, Fernando Coca ; Roman-Aso, Juan A ; Frigola, Irene Bosch ; Franks, Vanessa Mastral. In: EconStor Preprints. RePEc:zbw:esprep:234038.

Full description at Econpapers || Download paper

2022Hedge Fund Performance: A Quantitative Survey. (2022). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:260612.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

Works by Gregory Connor:

YearTitleTypeCited
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article235
2012Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy.
[Full Text][Citation analysis]		article2
2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper31
2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		article
2006Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper13
2007Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2012Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica.
[Full Text][Citation analysis]		article46
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
1984A unified beta pricing theory In: Journal of Economic Theory.
[Full Text][Citation analysis]		article77
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article291
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article228
2015Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics.
[Full Text][Citation analysis]		article7
2012The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article25
2010The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2013Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article18
2012Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2006Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy.
[Full Text][Citation analysis]		article21
2004An Introduction to hedge funds In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper3
2001Tests of the Fama and French model in India In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper17
2009Market Dispersion and the Profitability of Hedge Funds In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2009The Risky Lending Gap In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper2
2012A Coasean Approach to Bank Resolution Policy in the Eurozone In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2013Irish Mortgage Default Optionality In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2014Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2014A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2018A Performance Comparison of Large-n Factor Estimators.(2018) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2015Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper3
2016-Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book24
1985Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management.
[Full Text][Citation analysis]		article1
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]		paper23
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]		paper14
1987New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
[Citation analysis]		paper2
1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper12
1990The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1995Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team